Class Distribution Monitoring for Concept Drift Detection

We introduce Class Distribution Monitoring (CDM), an effective concept-drift detection scheme that monitors the class-conditional distributions of a datastream. In particular, our solution leverages multiple instances of an online and nonparametric change-detection algorithm based on QuantTree. CDM reports a concept drift after detecting a distribution change in any class, thus identifying which classes are affected by the concept drift. This can be precious information for diagnostics and adaptation. Our experiments on synthetic and real-world datastreams show that when the concept drift affects a few classes, CDM outperforms algorithms monitoring the overall data distribution, while achieving similar detection delays when the drift affects all the classes. Moreover, CDM outperforms comparable approaches that monitor the classification error, particularly when the change is not very apparent. Finally, we demonstrate that CDM inherits the properties of the underlying change detector, yielding an effective control over the expected time before a false alarm, or Average Run Length (ARL0)

Compressive and Coded Change Detection: Theory and Application to Structural Health Monitoring

In traditional sparse recovery problems, the goal is to identify the support of compressible signals using a small number of measurements. In contrast, in this thesis the problem of identification of a sparse number of statistical changes in stochastic phenomena is considered when decision makers only have access to compressed measurements, i.e., each measurement is derived by a subset of features. Herein, we propose a new framework that is termed Compressed Change Detection. The main approach relies on integrating ideas from the theory of identifying codes with change point detection in sequential analysis. If the stochastic properties of certain features change, then the changes can be detected by examining the covering set of an identifying code of measurements. In particular, given a large number N of features, the goal is to detect a small set of features that undergoes a statistical change using a small number of measurements. Sufficient conditions are derived for the probability of false alarm and isolation to approach zero in the asymptotic regime where N is large. As an application of compressed change detection, the problem of detection of a sparse number of damages in a structure for Structural Health Monitoring (SHM) is considered. Since only a small number of damage scenarios can occur simultaneously, change detection is applied to responses of pairs of sensors that form an identifying code over a learned damage-sensing graph. Generalizations of the proposed framework with multiple concurrent changes and for arbitrary graph topologies are presented

Nonparametric and Online Change Detection in Multivariate Datastreams Using QuantTree

We address the problem of online change detection in multivariate datastreams, and we introduce QuantTree Exponentially Weighted Moving Average (QT-EWMA), a nonparametric change-detection algorithm that can control the expected time before a false alarm, yielding a desired Average Run Length (ARL 0 ). Controlling false alarms is crucial in many applications and is rarely guaranteed by online change-detection algorithms that can monitor multivariate datastreams without knowing the data distribution. Like many change-detection algorithms, QT-EWMA builds a model of the data distribution, in our case a QuantTree histogram, from a stationary training set. To monitor datastreams even when the training set is extremely small, we propose QT-EWMA-update, which incrementally updates the QuantTree histogram during monitoring, always keeping the ARL0 under control. Our experiments, performed on synthetic and real-world datastreams, demonstrate that QT-EWMA and QT-EWMA-update control the ARL0 and the false alarm rate better than state-of-the-art methods operating in similar conditions, achieving lower or comparable detection delays

Processing multiple image streams for real-time monitoring of parking lots

We present a system to detect parked vehicles in a typical parking complex using multiple streams of images captured through IP connected devices. Compared to traditional object detection techniques and machine learning methods, our approach is significantly faster in detection speed in the presence of multiple image streams. It is also capable of comparable accuracy when put to test against existing methods. And this is achieved without the need to train the system that machine learning methods require. Our approach uses a combination of psychological insights obtained from human detection and an algorithm replicating the outcomes of a SVM learner but without the noise that compromises accuracy in the normal learning process. Performance enhancements are made on the algorithm so that it operates well in the context of multiple image streams. The result is faster detection with comparable accuracy. Our experiments on images captured from a local test site shows very promising results for an implementation that is not only effective and low cost but also opens doors to new parking applications when combined with other technologies.<br /

Online change detection techniques in time series: an overview

Time-series change detection has been studied in several fields. From sensor data, engineering systems, medical diagnosis, and financial markets to user actions on a network, huge amounts of temporal data are generated. There is a need for a clear separation between normal and abnormal behaviour of the system in order to investigate causes or forecast change. Characteristics include irregularities, deviations, anomalies, outliers, novelties or surprising patterns. The efficient detection of such patterns is challenging, especially when constraints need to be taken into account, such as the data velocity, volume, limited time for reacting to events, and the details of the temporal sequence.This paper reviews the main techniques for time series change point detection, focusing on online methods. Performance criteria including complexity, time granularity, and robustness is used to compare techniques, followed by a discussion about current challenges and open issue

Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures

In this work we present a non-parametric online market regime detection method for multidimensional data structures using a path-wise two-sample test derived from a maximum mean discrepancy-based similarity metric on path space that uses rough path signatures as a feature map. The latter similarity metric has been developed and applied as a discriminator in recent generative models for small data environments, and has been optimised here to the setting where the size of new incoming data is particularly small, for faster reactivity. On the same principles, we also present a path-wise method for regime clustering which extends our previous work. The presented regime clustering techniques were designed as ex-ante market analysis tools that can identify periods of approximatively similar market activity, but the new results also apply to path-wise, high dimensional-, and to non-Markovian settings as well as to data structures that exhibit autocorrelation. We demonstrate our clustering tools on easily verifiable synthetic datasets of increasing complexity, and also show how the outlined regime detection techniques can be used as fast on-line automatic regime change detectors or as outlier detection tools, including a fully automated pipeline. Finally, we apply the fine-tuned algorithms to real-world historical data including high-dimensional baskets of equities and the recent price evolution of crypto assets, and we show that our methodology swiftly and accurately indicated historical periods of market turmoil

Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures

In this work we present a non-parametric online market regime detection method for multidimensional data structures using a path-wise two-sample test derived from a maximum mean discrepancy-based similarity metric on path space that uses rough path signatures as a feature map. The latter similarity metric has been developed and applied as a discriminator in recent generative models for small data environments, and has been optimised here to the setting where the size of new incoming data is particularly small, for faster reactivity. On the same principles, we also present a path-wise method for regime clustering which extends our previous work. The presented regime clustering techniques were designed as ex-ante market analysis tools that can identify periods of approximatively similar market activity, but the new results also apply to path-wise, high dimensional-, and to non-Markovian settings as well as to data structures that exhibit autocorrelation. We demonstrate our clustering tools on easily verifiable synthetic datasets of increasing complexity, and also show how the outlined regime detection techniques can be used as fast on-line automatic regime change detectors or as outlier detection tools, including a fully automated pipeline. Finally, we apply the fine-tuned algorithms to real-world historical data including high-dimensional baskets of equities and the recent price evolution of crypto assets, and we show that our methodology swiftly and accurately indicated historical periods of market turmoil.Comment: 65 pages, 52 figure